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Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets.

Yanhui XiHui PengYemei QinWenbiao XieXiaohong Chen
Published in: Math. Comput. Simul. (2015)
Keyphrases
  • heavy tailed
  • bayesian analysis
  • stock market
  • probabilistic model
  • financial time series
  • parameter estimation
  • multiscale
  • wavelet transform
  • short term
  • financial data
  • generalized gaussian
  • garch model
  • stock returns